How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1123	1.20
β GARCH Volatility persistence	0.8371	41.52***
γ leverage Additional response to negative shocks	-0.1123	-0.54
λ₁ tau intercept Baseline long-term coefficient	3.1075	2.29**
λ₂ forecast adj. Forecast performance sensitivity	0.0641	3.03***
λ₃ tau persistence Long-term factor persistence	0.9359	30.12***

V-Lab

CIE Automotive SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CIE Automotive SA Analyses